Analytical Approximate Solutions for American Options with Skewness and Kurtosis: Barrier Options Approach
碩士 === 東吳大學 === 財務工程與精算數學系 === 101 === This paper extends the works of Backus et al. (2004), Huang et al. (1996) and Sbuelz (2004) for developing analytical approximate solutions for American options with skewness and kurtosis effects, the models were built under the Barrier options frameworks. By u...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2013
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| Online Access: | http://ndltd.ncl.edu.tw/handle/90720894523815697187 |